rrr.leverage {rrpack}

Leverage scores and Cook's distance in reduced-rank regression for model diagnostics

Description

Compute leverage scores and Cook's distance for model diagnostics in rrr estimation.

Usage

rrr.leverage(Y, X = NULL, nrank = 1, qr.tol = 1e-07)

Arguments

Y

a matrix of response (n by q)

X

a matrix of covariate (n by p)

nrank

an integer specifying the desired rank

qr.tol

tolerence to be passed to ‘qr’

Value

‘rrr.leverage’ returns a list containing a vector of leverages and a scalar of the degrees of freedom (sum of leverages). ‘rrr.cooks’ returns a list containing

residuals

resisuals matrix

mse

mean squared error

leverage

leverage

cookD

Cook's distance

df

degrees of freedom

References

Chen, K. Model diagnostics in reduced-rank estimation. Statistics and Its interface, 9, 469–484.